Derivative instruments and hedging activities (Tables)

6 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities [Abstract]

Significant concentration of exposures to credit risk in OTC derivatives

	Billions of yen
	March 31, 2020
	Gross fair value of derivative assets		Impact of master netting agreements			Impact of collateral			Net exposure to credit risk
Financial institutions	¥	17,711	¥	(15,479	)	¥	(1,707	)	¥	525
	Billions of yen
	September 30, 2020
	Gross fair value of derivative assets		Impact of master netting agreements			Impact of collateral			Net exposure to credit risk
Financial institutions	¥	14,731	¥	(12,943	)	¥	(1,526	)	¥	262

Volume of derivative activity in statement of financial position

			Billions of yen
			March 31, 2020
			Derivative assets		Derivative liabilities
	Total Notional(1)		Fair value		Fair value(1)
Derivatives used for trading and non-trading purposes(2)(3):
Equity contracts	¥	47,976	¥	1,921	¥	2,008
Interest rate contracts		2,522,172		13,590		13,214
Credit contracts		36,155		407		457
Foreign exchange contracts		267,313		5,224		5,104
Commodity contracts		601		9		6
Total	¥	2,874,217	¥	21,151	¥	20,789
Derivatives designated as hedging instruments:
Interest rate contracts	¥	1,064	¥	39	¥	0
Foreign exchange contracts		115		—		1
Total	¥	1,179	¥	39	¥	1
Total derivatives	¥	2,875,396	¥	21,190	¥	20,790
			Billions of yen
			September 30, 2020
			Derivative assets		Derivative liabilities
	Total Notional(1)		Fair value		Fair value(1)
Derivatives used for trading and non-trading purposes(2)(3):
Equity contracts	¥	43,852	¥	1,233	¥	1,705
Interest rate contracts		2,725,124		11,902		11,536
Credit contracts		36,532		373		432
Foreign exchange contracts		243,294		3,542		3,499
Commodity contracts		373		1		8
Total	¥	3,049,175	¥	17,051	¥	17,180
Derivatives designated as hedging instruments:
Interest rate contracts	¥	1,270	¥	36	¥	1
Foreign exchange contracts		121		0		1
Total	¥	1,391	¥	36	¥	2
Total derivatives	¥	3,050,566	¥	17,087	¥	17,182

(1) Includes the amount of embedded derivatives bifurcated in accordance with ASC 815.

(2) Each derivative classification includes derivatives referencing multiple risk components. For example, interest rate contracts include complex derivatives referencing interest rate risk as well as foreign exchange risk or other factors such as prepayment rates. Credit contracts include credit default swaps as well as derivatives referencing corporate and government securities.

(3) As of March 31, 2020 and September 30, 2020, the amounts reported include derivatives used for non-trading purposes which are not designated as fair value or net investment hedges. These amounts have not been separately presented since such amounts were not significant.

Offsetting of derivatives instruments and related collateral amounts

	Billions of yen						Billions of yen
	March 31, 2020						September 30, 2020
	Derivative assets			Derivative liabilities(1)			Derivative assets			Derivative liabilities(1)
Equity contracts
OTC settled bilaterally	¥	869		¥	875		¥	770		¥	1,023
Exchange-traded		1,052			1,133			463			682
Interest rate contracts
OTC settled bilaterally		11,881			11,438			10,434			10,060
OTC centrally-cleared		1,692			1,758			1,473			1,464
Exchange-traded		56			18			31			13
Credit contracts
OTC settled bilaterally		278			311			182			241
OTC centrally-cleared		126			132			191			190
Exchange-traded		3			14			—			1
Foreign exchange contracts
OTC settled bilaterally		5,224			5,105			3,542			3,500
Commodity contracts
OTC settled bilaterally		1			1			0			0
Exchange-traded		8			5			1			8
Total gross derivative balances(2)	¥	21,190		¥	20,790		¥	17,087		¥	17,182
Less: Amounts offset in the consolidated balance sheets(3)		(19,248	)		(18,987	)		(15,997	)		(15,863	)
Total net amounts reported on the face of the consolidated balance sheets(4)	¥	1,942		¥	1,803		¥	1,090		¥	1,319
Less: Additional amounts not offset in the consolidated balance sheets(5)
Financial instruments and non-cash collateral		(182	)		(125	)		(140	)		(246	)
Net amount	¥	1,760		¥	1,678		¥	950		¥	1,073

(1) Includes the amount of embedded derivatives bifurcated in accordance with ASC 815.

(2) Includes all gross derivative asset and liability balances irrespective of whether they are transacted under a master netting agreement or whether Nomura has obtained sufficient evidence of enforceability of the master netting agreement. As of March 31, 2020, the gross balance of derivative assets and derivative liabilities which are not documented under master netting agreements or are documented under master netting agreements for which Nomura has not yet obtained sufficient evidence of enforceability was ¥1,013 billion and ¥1,046 billion, respectively. As of September 30, 2020, the gross balance of such derivative assets and derivative liabilities was ¥443 billion and ¥572 billion, respectively.

(3) Represents amounts offset through counterparty netting of derivative assets and liabilities as well as cash collateral netting against net derivatives under master netting and similar agreements for which Nomura has obtained sufficient evidence of enforceability in accordance with ASC 815. As of March 31, 2020, Nomura offset a total of ¥1,679 billion of cash collateral receivables against net derivative liabilities and ¥1,940 billion of cash collateral payables against net derivative assets. As of September 30, 2020, Nomura offset a total of ¥1,592 billion of cash collateral receivables against net derivative liabilities and ¥1,726 billion of cash collateral payables against net derivative assets.

(4) Net derivative assets and net derivative liabilities are generally reported within Trading assets and private equity and debt investments—Trading assets and Trading liabilities, respectively in the consolidated balance sheet. Bifurcated embedded derivatives are reported within Short-term borrowings or Long-term borrowings depending on the maturity of the underlying host contract.

(5) Represents amounts which are not permitted to be offset on the face of the consolidated balance sheets in accordance with ASC 210-20 and ASC 815 but which provide Nomura with a legally enforceable right of offset in the event of counterparty default. Amounts relating to derivative and collateral agreements where Nomura has not yet obtained sufficient evidence of enforceability of such offsetting rights are excluded. As of March 31, 2020, a total of ¥374 billion of cash collateral receivables and ¥540 billion of cash collateral payables, including amounts reported in the table, have not been offset against net derivatives. As of September 30, 2020, a total of ¥182 billion of cash collateral receivables and ¥446 billion of cash collateral payables, including amounts reported in the table, have not been offset against net derivatives.

Derivative amounts included in consolidated statements of income

The following table presents amounts included in the consolidated statements of income for the six months ended September 30, 2019 and 2020 related to derivatives used for trading and non-trading purposes by type of underlying derivative contract.

	Billions of yen
	Six months ended September 30
	2019			2020
Derivatives used for trading and non-trading purposes(1)(2):
Equity contracts	¥	45		¥	90
Interest rate contracts		72			176
Credit contracts		(104	)		(85	)
Foreign exchange contracts		(84	)		(52	)
Commodity contracts		2			(10	)
Total	¥	(69)		¥	119
	Billions of yen
	Three months ended September 30
	2019			2020
Derivatives used for trading and non-trading purposes(1)(2):
Equity contracts	¥	47		¥	(47	)
Interest rate contracts		64			40
Credit contracts		(85	)		(78	)
Foreign exchange contracts		(78	)		7
Commodity contracts		(1	)		(5	)
Total	¥	(53	)	¥	(83	)

(1) Each derivative classification includes derivatives referencing multiple risk components. For example, interest rates contracts include complex derivatives referencing interest rate risk as well as foreign exchange risk or other factors such as prepayment rates. Credit contracts include credit default swaps as well as derivatives referencing corporate and government securities.

(2) Includes net gains (losses) on derivatives used for non-trading purposes which are not designated as fair value or net investment hedges. For the six and three months ended September 30, 2019 and 2020, these amounts have not been separately presented as net gains (losses) for these non-trading derivatives were not significant.

Schedule of carrying value hedged items

	Billions of yen
Line items in the statement of financial position in which the hedged item is included:	Carrying amount of the hedged assets/liabilities				Cumulative gains/(losses) of fair value hedging adjustment included in the carrying amount of the hedged assets/liabilities
	March 31, 2020		September 30, 2020		March 31, 2020			September 30, 2020
Long-term borrowings	¥	1,098	¥	1,301	¥	(36	)	¥	(33	)
Total	¥	1,098	¥	1,301	¥	(36	)	¥	(33	)

Fair value hedges

	Billions of yen
	Six months ended September 30
	2019			2020
Derivatives designated as hedging instruments:
Interest rate contracts	¥	(2	)	¥	(1	)
Total	¥	(2	)	¥	(1	)
Hedged items:
Long-term borrowings	¥	2		¥	1
Total	¥	2		¥	1
	Billions of yen
	Three months ended September 30
	2019			2020
Derivatives designated as hedging instruments:
Interest rate contracts	¥	(4	)	¥	1
Total	¥	(4	)	¥	1
Hedged items:
Long-term borrowings	¥	4		¥	(1	)
Total	¥	4		¥	(1	)

Net investment hedges

	Billions of yen
	Six months ended September 30
	2019		2020
Hedging instruments:
Foreign exchange contracts	¥	3	¥	(7	)
Total	¥	3	¥	(7	)
	Billions of yen
	Three months ended September 30
	2019		2020
Hedging instruments:
Foreign exchange contracts	¥	5	¥	(5	)
Total	¥	5	¥	(5	)

(1) The portion of gains (losses) representing the amount of hedge ineffectiveness and the amount excluded from the assessment of hedge effectiveness are recognized within Revenue—Other in the consolidated statements of income. The amount of gains (losses) was not significant during the six months ended September 30, 2019 and 2020. The amount of gains (losses) was not significant during the three months ended September 30, 2019 and 2020.

Written credit derivatives and purchased credit protection

	Billions of yen
	March 31, 2020
			Maximum potential payout/Notional										Notional
	Carrying value (Asset) / Liability(1)		Total		Years to maturity								Purchased credit protection
					Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years
Single-name credit default swaps	¥	96	¥	8,018	¥	2,323	¥	2,238	¥	2,552	¥	905	¥	5,836
Credit default indices		18		8,064		721		2,455		4,179		709		6,364
Other credit risk related portfolio products		65		357		39		130		175		13		274
Credit-risk related options and swaptions		1		16		—		—		16		—		16
Total	¥	180	¥	16,455	¥	3,083	¥	4,823	¥	6,922	¥	1,627	¥	12,490

	Billions of yen
	September 30, 2020
				Maximum potential payout/Notional										Notional
						Years to maturity								Purchased credit protection
	Carrying value (Asset) / Liability(1)			Total		Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years
Single-name credit default swaps	¥	(20	)	¥	7,366	¥	1,733	¥	2,210	¥	2,601	¥	822	¥	5,488
Credit default indices		(138	)		9,077		757		3,332		4,127		861		7,182
Other credit risk related portfolio products		37			384		27		149		189		19		270
Credit-risk related options and swaptions		0			6		—		—		—		6		6
Total	¥	(121	)	¥	16,833	¥	2,517	¥	5,691	¥	6,917	¥	1,708	¥	12,946

(1) Carrying value amounts are shown on a gross basis prior to cash collateral or counterparty netting. Asset balances represent positive fair value amounts caused by tightening of credit spreads of underlyings since inception of the credit derivative contracts.

Written credit derivatives by external credit rating of underlying asset

	Billions of yen
	March 31, 2020
	Maximum potential payout/Notional
	AAA		AA		A		BBB		BB		Other(1)		Total
Single-name credit default swaps	¥	122	¥	1,683	¥	1,935	¥	2,643	¥	1,198	¥	437	¥	8,018
Credit default indices		24		153		2,211		4,027		1,318		331		8,064
Other credit risk related portfolio products		—		—		2		191		73		91		357
Credit-risk related options and swaptions		—		—		—		—		16		—		16
Total	¥	146	¥	1,836	¥	4,148	¥	6,861	¥	2,605	¥	859	¥	16,455
	Billions of yen
	September 30, 2020
	Maximum potential payout/Notional
	AAA		AA		A		BBB		BB		Other(1)		Total
Single-name credit default swaps	¥	176	¥	1,577	¥	1,895	¥	2,551	¥	875	¥	292	¥	7,366
Credit default indices		36		165		2,375		4,734		1,410		357		9,077
Other credit risk related portfolio products		—		—		2		219		52		111		384
Credit-risk related options and swaptions		—		—		—		—		6		—		6
Total	¥	212	¥	1,742	¥	4,272	¥	7,504	¥	2,343	¥	760	¥	16,833

(1) “Other” includes credit derivatives where the credit rating of the underlying reference asset is below investment grade or where a rating is unavailable.